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Question concerns the consequences of using the absolute value function in part of the definition of one or more statistics.
6
votes
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answer
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Expectation of sum of absolute values for correlated normal random variables
Let $x_1, x_2, \dots, x_{N}$ i.i.d. random variables $\sim \mathcal{N}\left(0,\sigma^2_x\right)$. Further, let $z\sim \mathcal{N}\left(0,\sigma^2_z\right)$, $z$ is independent from all $x_i$.
We build …
6
votes
1
answer
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What is the expectation of the absolute value of the Skellam distribution?
In particular, for a Skellam distribution obtained by substracting two iid Poisson Processes. Thank you!